MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2011.00515.x/fullpdf
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4. Björk , T. A. Murgoci 2009 A General Theory of Markovian Time Inconsistent Stochastic Control Problems
5. Continuous-Time Markowitz’s Model with Transaction Costs;Dai;SIAM J. Finan. Math.,2010
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